Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.2986
Annualized Std Dev 0.6026
Annualized Sharpe (Rf=0%) -0.4955

Row

Daily Return Statistics

Close
Observations 3367.0000
NAs 1.0000
Minimum -0.4482
Quartile 1 -0.0179
Median -0.0015
Arithmetic Mean -0.0007
Geometric Mean -0.0014
Quartile 3 0.0161
Maximum 0.3104
SE Mean 0.0007
LCL Mean (0.95) -0.0019
UCL Mean (0.95) 0.0006
Variance 0.0014
Stdev 0.0380
Skewness -0.5536
Kurtosis 16.9341

Downside Risk

Close
Semi Deviation 0.0270
Gain Deviation 0.0289
Loss Deviation 0.0292
Downside Deviation (MAR=210%) 0.0316
Downside Deviation (Rf=0%) 0.0273
Downside Deviation (0%) 0.0273
Maximum Drawdown 0.9971
Historical VaR (95%) -0.0491
Historical ES (95%) -0.0875
Modified VaR (95%) -0.0559
Modified ES (95%) -0.0758
From Trough To Depth Length To Trough Recovery
2008-10-28 2021-02-17 NA -0.9971 3120 3097 NA
2008-10-10 2008-10-13 2008-10-24 -0.4649 11 2 9
2008-09-18 2008-09-25 2008-10-07 -0.3693 14 6 8
2008-02-07 2008-05-16 2008-08-18 -0.3576 134 70 64
2007-11-27 2007-12-06 2008-01-17 -0.2457 36 8 28

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA -1.4 2.8 1.4
2008 -5.4 5.2 -7.9 -2.3 -1.6 3.2 1.7 1.9 1.2 -1.2 17.8 -2.4 8.3
2009 1.9 2.9 -5.8 -2.7 -8.9 -3.7 -1.1 3.7 5.5 9.7 -5.7 -0.5 -6.2
2010 -5.7 -3.6 -5.4 2.4 3.7 -1.4 -0.9 -7.1 -3 -2.2 -5.8 -1.4 -27.1
2011 -4.9 2.2 -3.1 -1.3 3.7 -2.5 0.1 1.1 9.7 4.7 0.6 -0.2 9.7
2012 -4.4 -1.8 -1.4 -1.4 5 -8.9 -0.3 -1.7 -2 -3.4 0.1 -3 -21.5
2013 -1.3 -0.6 1.9 2.2 3.6 -0.7 -3.6 -1.5 -3.9 0 -2 -1.6 -7.5
2014 -0.3 1.6 -2.2 -0.3 2.8 -1.9 -1.2 0.4 4.1 -0.9 3.5 0.1 5.4
2015 5.2 0.1 -2.4 -1.2 0.6 0 -2.2 7.8 -0.8 -0.3 -1.6 0.4 5.3
2016 1.6 -7.2 0.6 0.8 0.2 -1.8 0.4 -1.4 -1.2 1.6 2.2 1.5 -3
2017 -0.3 -2.9 1.6 -1.1 -1.8 -1 -0.7 -1.5 -2.2 -1 1.1 -0.9 -10.3
2018 2.7 0.5 -4.1 1 -2.6 -3.3 1.5 -1.3 -0.1 -7 0.5 0.9 -11.1
2019 1.5 0 -3.2 1.5 -0.7 -2.5 4 -1.7 1.4 -3.2 3 -0.4 -0.7
2020 4.1 0.5 8.4 7.4 -4.7 -2.6 1.6 -3.4 -2 2.3 -3.8 0.1 7.3
2021 -5.5 -5 -2 NA NA NA NA NA NA NA NA NA -12

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-11-01 1812. SPY    151. -0.0234  -0.0053  -0.0179   0.0503   0.0961    0.330    0.689 GLD    77.9 -0.0088   0.025 
2 2007-11-02 1784. SPY    151.  0.0011  -0.0158  -0.0183   0.0341   0.105     0.332    0.708 GLD    79.8  0.0244   0.0275
3 2007-11-05 1904. SPY    150. -0.0076  -0.0265  -0.0372   0.0154   0.097     0.305    0.662 GLD    79.8 -0.001    0.0209
4 2007-11-06 1765  SPY    152.  0.0135  -0.0065  -0.019    0.015    0.114     0.305    0.669 GLD    81.4  0.0211   0.0527
5 2007-11-07 1900  SPY    148. -0.0274  -0.0436  -0.0548   0.0173   0.0712    0.261    0.610 GLD    82.2  0.0099   0.046 
6 2007-11-08 1886. SPY    147. -0.0051  -0.0256  -0.058    0.0169   0.0617    0.257    0.582 GLD    82.2 -0.0001   0.0552
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart